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The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement--A Reply

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  • McFarland, James W
  • Pettit, R Richardson
  • Sung, Sam K

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  • McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1987. "The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement--A Reply," Journal of Finance, American Finance Association, vol. 42(1), pages 189-194, March.
    • Handle: RePEc:bla:jfinan:v:42:y:1987:i:1:p:189-94
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    Cited by:

    1. Baillie, Richard T. & Bollerslev, Tim & Redfearn, Michael R., 1993. "Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 511-521, October.
    2. Lau, Hon-Shiang & Lau, Amy Hing Ling, 1997. "The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions," European Journal of Operational Research, Elsevier, vol. 100(1), pages 60-71, July.
    3. Girardin, Eric & Salimi Namin, Fatemeh, 2019. "The January effect in the foreign exchange market: Evidence for seasonal equity carry trades," Economic Modelling, Elsevier, vol. 81(C), pages 422-439.
    4. Torben G. Andersen & Tim Bollerslev, 1996. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers 5783, National Bureau of Economic Research, Inc.
    5. Wang, Xinya & Liu, Huifang & Huang, Shupei, 2019. "Identification of the daily seasonality in gold returns and volatilities: Evidence from Shanghai and London," Resources Policy, Elsevier, vol. 61(C), pages 522-531.
    6. Owen F. Humpage & William P. Osterberg, 1992. "New results on the impact of central-bank intervention on deviations from uncovered interest parity," Working Papers (Old Series) 9207, Federal Reserve Bank of Cleveland.

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